Efron–Stein inequalities for random matrices
This paper establishes new concentration inequalities for random matrices constructed from independent random variables. These results are analogous with the generalized Efron–Stein inequalities developed by Boucheron et al. The proofs rely on the method of exchangeable pairs.
© 2016 Institute of Mathematical Statistics. Received August 2014; revised August 2015. Supported by ONR awards N00014-08-1-0883 and N00014-11-1002, AFOSR award FA9550-09-1-0643, and a Sloan Research Fellowship.
Submitted - 1408.3470v1.pdf
Published - euclid.aop.1474462103.pdf